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isPartOf:"CREATES research paper"
subject:"Time series analysis"
~isPartOf:"Econometrics : open access journal"
~subject:"Volatility"
~type:"book"
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Time series analysis
Volatility
Theorie
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Podolskij, Mark
8
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8
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Johansen, Søren
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CREATES research paper
Econometrics : open access journal
NBER working paper series
219
Working paper / National Bureau of Economic Research, Inc.
212
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207
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207
Working paper
127
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113
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
107
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86
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78
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1
A machine learning approach to volatility forecasting
Christensen, Kim
;
Siggaard, Mathias Voldum
;
Veliyev, …
-
2021
Persistent link: https://www.econbiz.de/10012434010
Saved in:
2
The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper
;
Kjær, Mads Markvart
; …
-
2021
-
This version: June 28, 2021
Persistent link: https://www.econbiz.de/10012621334
Saved in:
3
Long and short memory in dynamic term structure models
Huseynov, Salman
-
2021
-
This version: 3 December 2021
Persistent link: https://www.econbiz.de/10012815974
Saved in:
4
Fractional integration and cointegration
Haulde, Javier
;
Nielsen, Morten Ørregaard
-
2021
Persistent link: https://www.econbiz.de/10012816374
Saved in:
5
Temperature anomalies, long memory, and aggregation
Vera-Valdés, J. Eduardo
-
2020
Persistent link: https://www.econbiz.de/10012433973
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6
Roughness in spot variance? : a GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
Bolko, Anine E.
;
Christensen, Kim
;
Pakkanen, Mikko S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012318238
Saved in:
7
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
Saved in:
8
Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316892
Saved in:
9
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors
Bennedsen, Mikkel
;
Hillebrand, Eric
;
Koopman, Siem Jan
-
2019
Persistent link: https://www.econbiz.de/10012316908
Saved in:
10
Assessing predictive accuracy in panel data models with long-range dependence
Borup, Daniel
;
Christensen, Bent Jesper
;
Ergemen, Yunus Emre
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2019
Persistent link: https://www.econbiz.de/10011991275
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